Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach

Matteo Manera (), Marcella Nicolini and Ilaria Vignati

No 122868, Energy: Resources and Markets from Fondazione Eni Enrico Mattei (FEEM)

Abstract: This paper analyses futures prices for four energy commodities (light sweet crude oil, heating oil, gasoline and natural gas) and five agricultural commodities (corn, oats, soybean oil, soybeans and wheat), over the period 1986-2010. Using CCC and DCC multivariate GARCH models, we find that financial speculation is poorly significant in modelling returns in commodities futures while macroeconomic factors help explaining returns in commodities futures. Moreover, spillovers between commodities are present and the conditional correlations among commodities are high and time-varying.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 53
Date: 2012-04
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Citations: View citations in EconPapers (10)

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Related works:
Working Paper: Returns in Commodities Futures Markets and Financial Speculation: A Multivariate GARCH Approach (2012)
Working Paper: Returns in commodities futures markets and financial speculation: a multivariate GARCH approach (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:feemer:122868

DOI: 10.22004/ag.econ.122868

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